Your view -> Edit -> Expand Advanced Fieldset -> Theme: Information. Copy the template suggestion from Style output (Display output? I can't really remember) container and create that file (Do not forget to clean the cache). Then copy the default code and modify it. For ex.:
<?php print $wrapper_prefix; ?>
<?php if (!empty($title)) : ?>
<div class="myClass"><h3><span><?php print $title; ?></span></h3></div>
<?php endif; ?>
<?php print $list_type_prefix; ?>
<?php foreach ($rows as $id => $row): ?>
<li class="<?php print $classes_array[$id]; ?>"><?php print $row; ?></li>
<?php endforeach; ?>
<?php print $list_type_suffix; ?>
<?php print $wrapper_suffix; ?>